Limit Theorems for Logarithmic Averages of Fractional Brownian Motions

István Berkes and Lajos Horvath
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István Berkes: Mathematical Institute of the Hungarian Academy of Sciences

Journal of Theoretical Probability, 1999, vol. 12, issue 4, 985-1009

Abstract: Abstract We prove almost sure invariance principles for logarithmic averages of fractional Brownian motions.

Keywords: Fractional Brownian motion; α-mixing; Wiener process (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1023/A:1021641020103

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